Burnecki, Krzysztof and Pazdan-Siudeja, Liliana (2008): Equity-linked insurances and guaranteed annuity options.
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We consider here term and whole-life cases of the equity-linked life insurance(ELLI), and the guaranteed annuity option (GAO). We present a financial instrument which is a combination of ELLI and GAO in a stochastic interest rate framework.
|Item Type:||MPRA Paper|
|Original Title:||Equity-linked insurances and guaranteed annuity options|
|Keywords:||equity-linked life insurance; guaranteed annuity option; geometric Brownian motion; Ornstein-Uhlenbeck process; Monte Carlo simulations|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
|Depositing User:||Krzysztof Burnecki|
|Date Deposited:||26. Mar 2010 18:01|
|Last Modified:||13. Feb 2013 13:57|
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